Essays in empirical market microstructure

Johann, Thomas

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URN: urn:nbn:de:bsz:180-madoc-501498
Document Type: Doctoral dissertation
Year of publication: 2019
Place of publication: Mannheim
University: University of Mannheim
Evaluator: Theissen, Erik
Date of oral examination: 8 April 2019
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen)
Subject: 330 Economics
Classification: JEL: G10, G19, G14,
Keywords (English): Market Microstructure , Liquidity , Market Efficiency
Abstract: In three disjunct chapters, this dissertation conducts empirical research in the field of market microstructure. It examines the trading process and its consequences for market efficiency and liquidity in modern equity markets. Chapter 1 conducts a comprehensive comparative analysis of low-frequency liquidity estimators and finds that estimator performance is highly dependent on a particular application. Chapter 2 shows that retail investor attention is positively related to volatility and turnover but only weakly related to stock returns and liquidity. Chapter 3 shows that "quasi-dark" trading venues, i.e., markets with somewhat non-transparent trading mechanisms, are important parts of modern equity market structure alongside lit markets and dark pools. They serve as close substitutes for dark pools and consequently mitigate the effectiveness of dark pool regulation.
Translation of the title: Essays in emprisicher Marktmikrostruktur (German)

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